Nagoya Mathematical Journal

Passage-time moments for positively recurrent Markov chains

Tokuzo Shiga, Akinobu Shimizu, and Takahiro Soshi

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Abstract

Fractional moments of the passage-times are considered for positively recurrent Markov chains with countable state spaces. A criterion of the finiteness of the fractional moments is obtained in terms of the convergence rate of the transition probability to the stationary distribution. As an application it is proved that the passage time of a direct product process of Markov chains has the same order of the fractional moments as that of the single Markov chain.

Article information

Source
Nagoya Math. J., Volume 162 (2001), 169-185.

Dates
First available in Project Euclid: 27 April 2005

Permanent link to this document
https://projecteuclid.org/euclid.nmj/1114631596

Mathematical Reviews number (MathSciNet)
MR1836138

Zentralblatt MATH identifier
0981.60067

Subjects
Primary: 60J27: Continuous-time Markov processes on discrete state spaces

Citation

Shiga, Tokuzo; Shimizu, Akinobu; Soshi, Takahiro. Passage-time moments for positively recurrent Markov chains. Nagoya Math. J. 162 (2001), 169--185. https://projecteuclid.org/euclid.nmj/1114631596


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References

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